My last 3 BMW's and the A4 did the same thing, the audio volume starts at a lower level than if I turned the system off at higher volume.
I like this feature very much. It's nice in the morning when you don't want something LOUD blarring at you like some of my older cars that retained the last volume setting.
I'm not positive, but I thought there was start up volume setting where you can set the "start up" default level. Maybe that was in the A4?
Not sure. Look for it in the manual, I'll have a look too.